Considering how much the PlayStation Network breach cost Sony, it's kind of crazy that the service didn't offer two-factor login authentication before now. But, that's no longer the case. Protecting your PlayStation account is SMS-based (which has its own limitations) versus using an authenticator app, however. You can set up device passwords for the PlayStation 3 and Vita handheld, and, really, from there it doesn't differ much than you're used to with other apps and services.
Xbox One has had something similar for a few years, but hey, with how susceptible seemingly every service is to ne'er-do-wells these days, a late arrival for the feature is definitely preferable to never getting it at all. To see what accounts of yours (even outside of gaming) can be protected with the extra layer of security, give TwoFactorAuth.org a visit.